发展中国家股票市场的动量效应

发布时间：2018-04-13 08:30

本文选题：动量效应 + 分析师关注度变化　；参考：《国际金融研究》2010年08期

【摘要】：股票市场上的动量效应近年来受到广泛关注。然而,对于该现象存在的深层原因,至今还没有定论。本文通过考察发展中国家的金融分析师行为和动量交易策略的关系来研究信息有效性对动量效应的影响。本文研究发现在发展中国家动量效应普遍存在,但与发达国家截然不同的是,动量效应在长期没有逆转。该现象排除了投资者过度自信导致动量效应的可能性,支持了Hong and Stein(1999)和Barberis,Shleifer and Vishny(1998)的信息非充分反应理论。另外,分析表明动量利润主要来自于失败者,说明对负面信息的反应更为不充分。进一步研究发现,分析师关注度的变化具有独立于分析师关注水平的解释能力,能更好地衡量近期市场的信息有效性。以上发现不能被分析师的羊群行为所解释,也不完全支持信息的不确定性理论。
[Abstract]:The momentum effect in stock market has been paid more and more attention in recent years.However, the deep cause of this phenomenon has not yet been concluded.This paper investigates the relationship between the behavior of financial analysts and momentum trading strategies in developing countries to study the effect of information availability on momentum effect.In this paper, it is found that momentum effect exists generally in developing countries, but in contrast with developed countries, momentum effect has not been reversed for a long time.This phenomenon excludes the possibility that investor overconfidence leads to momentum effect, and supports the information inadequate response theory proposed by Hong and Steinnberg (1999) and Barberis Shleifer and Vishny (1998).In addition, the analysis shows that momentum profit comes mainly from losers, indicating that the response to negative information is more inadequate.Further research has found that the shift in analyst attention has an explanatory capacity independent of the level of analyst attention, and can better measure the effectiveness of information in the immediate market.These findings cannot be explained by the herding behavior of analysts and do not fully support the uncertainty theory of information.
【作者单位】：中央财经大学中国金融发展研究院;新加坡国立大学;
【分类号】：F831.51;F224

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